Title

A LASSO Chart for Monitoring the Covariance Matrix

Authors

Authors

E. M. Maboudou-Tchao;N. Diawara

Comments

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Abbreviated Journal Title

Qual. Technol. Quant. Manag.

Keywords

Average run length (ARL); covariance matrix; multi standardization; penalized likelihood function; MULTIVARIATE PROCESS VARIABILITY; SUM CONTROL CHARTS; INDIVIDUAL; OBSERVATIONS; LIKELIHOOD-ESTIMATION; PENALIZED LIKELIHOOD; SAMPLE; VARIANCES; SELECTION; MODEL; Engineering, Industrial; Operations Research & Management Science; Statistics & Probability

Abstract

Multivariate control charts are essential tools in multivariate statistical process control. In real applications, when a multivariate process shifts, it occurs in either location or scale. Several methods have been proposed recently to monitor the covariance matrix. Most of these methods use rational subgroups and are used to detect large shifts. In this paper, we propose a new accumulative method, based on penalized likelihood estimators, that uses individual observations and is useful to detect small and persistent shifts in a process when sparsity is present.

Journal Title

Quality Technology and Quantitative Management

Volume

10

Issue/Number

1

Publication Date

1-1-2013

Document Type

Article

Language

English

First Page

95

Last Page

114

WOS Identifier

WOS:000316152600006

ISSN

1684-3703

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